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Question about interest rate quote
Posted: August 6th, 2014, 8:16 pm
by nhutnyak
I am looking at a examples of cleared interest rate trades and came across this... 10Y 6M LIBOR 12M 30/360 vs 6M 6M ACT/360 STRADDLE 2.70Can you help dissect the shorthand?My guess: 10yr swap 6M LIBOR paying annually 30/360 against paying 6M LIBOR semiannual act/360, with a straddle overlay struck at 2.7
Question about interest rate quote
Posted: August 7th, 2014, 9:10 am
by Martinghoul
I think this is probably just an unconventional USD straddle, rather than a swap...
Question about interest rate quote
Posted: August 7th, 2014, 1:18 pm
by nhutnyak
Thank you.That makes a little more sense...So it's a 10YR straddle long put(call) on 6M LIBOR paying annually against a long call(put) on 6M LIBOR paying semi, struck at 2.70